The price jump behavior may bring tremendous challenges on risk management and asset pricing. This paper uses the BN-S test, the wavelet coherence method, and applies high-frequency data to explore whether and to what extent the COVID-19 pandemic impacts China's energy stock market jumps and its characteristics. The empirical results uncover the significant and heterogeneous interactions between the COVID-19 pandemic and China's energy stock market jumps across market specifications, investment horizons, and China/global pandemic tolls at different time scales. First, the oil stock market jumps were the most correlated with the pandemic, especially during the peak and re-deterioration phases. The pandemic played a positive and leading role in the short term (1-4 days length period) and long term (over 32 days length period). Second, the coal stock market jumps have similar characteristics to those of oil, but mainly show a negative correlation with the pandemic. Third, renewable energy stock market jumps were the least correlated, mainly showing a positive correlation in the short term and a negative correlation in the long term. In addition, the interaction characteristics of systemic co-jumps in different China's energy stock markets are also significant.
Keywords: BN-S test; COVID-19; China energy stock markets; Price jumps; Wavelet coherence method.
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